Option pricing and replication with transaction costs and dividends
نویسندگان
چکیده
منابع مشابه
Option pricing and replication with transaction costs and dividends
This paper derives optimal perfect hedging portfolios in the presence of transaction costs within the binomial model of stock returns, for a market maker that establishes bid and ask prices for American call options on stocks paying dividends prior to expiration. It is shown that, while the option holder's optimal exercise policy at the ex-dividend date varies according to the stock price, ther...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2000
ISSN: 0165-1889
DOI: 10.1016/s0165-1889(99)00086-x